|
@@ -563,11 +563,13 @@ impl Predictor {
|
|
|
&& (self.mid_price < self.prev_trade_price * dec!(0.999) || self.prev_trade_price.is_zero())
|
|
&& (self.mid_price < self.prev_trade_price * dec!(0.999) || self.prev_trade_price.is_zero())
|
|
|
&& self.inventory < self.params.grid
|
|
&& self.inventory < self.params.grid
|
|
|
&& self.volume_decay > dec!(0.2)
|
|
&& self.volume_decay > dec!(0.2)
|
|
|
|
|
+ && false
|
|
|
&& self.bid_delta == dec!(-2);
|
|
&& self.bid_delta == dec!(-2);
|
|
|
let is_open_short = self.force_order_value > self.params.open
|
|
let is_open_short = self.force_order_value > self.params.open
|
|
|
&& (self.mid_price > self.prev_trade_price * dec!(1.001) || self.prev_trade_price.is_zero())
|
|
&& (self.mid_price > self.prev_trade_price * dec!(1.001) || self.prev_trade_price.is_zero())
|
|
|
&& self.inventory > -self.params.grid
|
|
&& self.inventory > -self.params.grid
|
|
|
&& self.volume_decay > dec!(0.2)
|
|
&& self.volume_decay > dec!(0.2)
|
|
|
|
|
+ && false
|
|
|
&& self.ask_delta == dec!(-2);
|
|
&& self.ask_delta == dec!(-2);
|
|
|
|
|
|
|
|
if is_open_long {
|
|
if is_open_long {
|
|
@@ -671,6 +673,7 @@ impl Predictor {
|
|
|
let sigma_square = Decimal::from(self.state);
|
|
let sigma_square = Decimal::from(self.state);
|
|
|
|
|
|
|
|
let gamma = self.force_order_value;
|
|
let gamma = self.force_order_value;
|
|
|
|
|
+ self.force_order_value = Decimal::ZERO;
|
|
|
let kappa = self.balance;
|
|
let kappa = self.balance;
|
|
|
|
|
|
|
|
let flow_ratio = Decimal::ZERO;
|
|
let flow_ratio = Decimal::ZERO;
|